By William Fulton

ISBN-10: 0201510103

ISBN-13: 9780201510102

ISBN-10: 0805330828

ISBN-13: 9780805330823

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5 is defined by t 0 φn (s, ω)dWs given by Let f ∈ Υ. 11) holds. 12) Following a similar path, it is possible to define a n-dimensional Itˆo process t m t xit = xi0 + bi (s, xs )ds + 0 σji (s, xs )dWsj , i = 1, · · · , n 0 j=1 that we formally write as m dxit σji (t, xt )dWtj i = b (t, xt )dt + j=1 Here Wt is an uncorrelated m-dimensional Brownian motion with zero mean EP [Wtj ] = 0 and variance: EP [Wtj Wti ] = δij t. 6 Itˆ o process-SDE Let Wt (ω) = (Wt1 (ω), · · · , Wtm (ω)) denote an m-dimensional Brownian motion.

When we examine local and stochastic volatility models in chapters 5 and 6, we will give some weaker conditions on the coefficients of SDEs which imply existence and uniqueness in law of weak solutions. 17) and therefore have a unique (strong) solution. 5 Market models The tools to model a market have now been presented. v. (such as a stochastic volatility that we introduce in chapter 6). Bt is the money market account which when you invest 1 at time t gives 1 + rt dt at t + dt with rt the instantaneous interest rate at t.

T In order to avoid arbitrage, we should impose that the expectations of these two different discounted portfolios are equal d EP [ DTd Dtf Dtd DTf d/f d/f ST |Ft ] = St equivalent to d EP [ Therefore, Dtd d/f S Dtf t DTf d/f ST |Ft ] = Dtd Dtf d/f St should be a (local) martingale under the domestic riskDtd Dtf neutral measure Pd . 48) d/f = St f PtT d PtT ) with the domestic d PtT bond is a contract paying 1 in foreign currency valued in the domestic d/f currency. Therefore ft is a local martingale under the domestic forward measure PTd .

### Algebraic Curves: An Introduction to Algebraic Geometry by William Fulton

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